Statistical arbitrage in South African financial markets

 

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dc.contributor.author Govender, Kieran en_ZA
dc.date.accessioned 2015-01-15T18:36:24Z
dc.date.available 2015-01-15T18:36:24Z
dc.date.issued 2011 en_ZA
dc.identifier.citation Govender, K. 2011. Statistical arbitrage in South African financial markets. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/12241
dc.description Includes abstract. en_ZA
dc.description Includes bibliographic references (leaves 34-35). en_ZA
dc.description.abstract Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space form... en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Mathematics en_ZA
dc.title Statistical arbitrage in South African financial markets en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Economics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MCom en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Govender, K. (2011). <i>Statistical arbitrage in South African financial markets</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/12241 en_ZA
dc.identifier.chicagocitation Govender, Kieran. <i>"Statistical arbitrage in South African financial markets."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2011. http://hdl.handle.net/11427/12241 en_ZA
dc.identifier.vancouvercitation Govender K. Statistical arbitrage in South African financial markets. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12241 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Govender, Kieran AB - Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This paper provides an example of the application of co-integration in a pairs trading strategy to identify mean reverting spreads. The strategy is implemented with an algorithmic trading setup that models the spread in a state-space form... DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Statistical arbitrage in South African financial markets TI - Statistical arbitrage in South African financial markets UR - http://hdl.handle.net/11427/12241 ER - en_ZA


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